Roy was not prepared to lose Maes Hughes. Of course, no one is ever prepared for the death of his best friend, but Hughes' death was an unannounced and sudden one. I don't think that Roy ever thought that his own crusade would take Hughes' life, while a war couldn't. This event probably made his sense of guilt (already quite developed) go up to an unprecedented high point.

The fact that the last thing Hughes did before he died was trying to contact Roy, only made it worse. Roy was ready to put up with his friend's usual insistence in showing off about his family, but instead he only found silence at the end of the line.

     

He and Hawkeye then travelled to Central City to be present at his funeral. Roy is a balanced man, he's usually calm and takes great care in not showing his most powerful feelings to others. But right before Hughes' grave and in front of Hawkeye, he breaks down. Not in an overly dramatic or shocking way, like most people would do, but in a very subtle, Roy-esque way.

He says that part of him is trying to develop a theory on human transmutation at that very moment and warns Hawkeye about how alchemists are horrible people. He tells her how he may now be able to understand what the Elric brothers felt when they tried to transmute their mother. Then he says "It's raining", when in fact it's his own eyes that are shedding tears.

But as I already said, Roy is a man of future. No one doubts that's it's him and Gracia the two more shaken by Hughes' death, but being as he is, he can't do anything besides dealing with his pain and keep moving forward, more determined than ever. He sets himself the goal of finding whoever murdered Hughes and avenge him.

As he says to Hawkeye, there's no difference between "professional" and "private", his goal as an individual is to become fuhrer as well as to avenge Hughes.